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<h3 class="subtitle">A free/open-source library for quantitative finance</h3>
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<li class="navelem"><a class="el" href="class_quant_lib_1_1_loss_dist.html">LossDist</a> </li>
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<a href="#pub-methods">Public Member Functions</a> |
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<div class="title">LossDist Class Reference</div> </div>
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<!-- doxytag: class="QuantLib::LossDist" -->
<p>Probability formulas and algorithms.
<a href="class_quant_lib_1_1_loss_dist.html#details">More...</a></p>
<p><code>#include <ql/experimental/credit/lossdistribution.hpp></code></p>
<div class="dynheader">
Inheritance diagram for LossDist:</div>
<div class="dyncontent">
<div class="center"><img src="class_quant_lib_1_1_loss_dist__inherit__graph.png" border="0" usemap="#_loss_dist_inherit__map" alt="Inheritance graph"/></div>
<map name="_loss_dist_inherit__map" id="_loss_dist_inherit__map">
<area shape="rect" id="node3" href="class_quant_lib_1_1_loss_dist_binomial.html" title="Binomial loss distribution." alt="" coords="5,86,128,117"/><area shape="rect" id="node5" href="class_quant_lib_1_1_loss_dist_bucketing.html" title="Loss distribution with Hull-White bucketing." alt="" coords="152,86,283,117"/><area shape="rect" id="node7" href="class_quant_lib_1_1_loss_dist_homogeneous.html" title="Loss Distribution for Homogeneous Pool." alt="" coords="307,86,461,117"/><area shape="rect" id="node9" href="class_quant_lib_1_1_loss_dist_monte_carlo.html" title="Loss distribution with Monte Carlo simulation." alt="" coords="485,86,624,117"/></map>
<center><span class="legend">[<a href="graph_legend.html">legend</a>]</span></center></div>
<p><a href="class_quant_lib_1_1_loss_dist-members.html">List of all members.</a></p>
<table class="memberdecls">
<tr><td colspan="2"><h2><a name="pub-methods"></a>
Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a750367f603a71c5a87707600f677ea41"></a><!-- doxytag: member="QuantLib::LossDist::operator()" ref="a750367f603a71c5a87707600f677ea41" args="(const std::vector< Real > &volumes, const std::vector< Real > &probabilities) const =0" -->
virtual Distribution </td><td class="memItemRight" valign="bottom"><b>operator()</b> (const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &volumes, const std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &probabilities) const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="ab143530071a3af08da7f3df1640d33e5"></a><!-- doxytag: member="QuantLib::LossDist::buckets" ref="ab143530071a3af08da7f3df1640d33e5" args="() const =0" -->
virtual <a class="el" href="group__types.html#gaf38bdb4c54463b1f456655efa95b5c77">Size</a> </td><td class="memItemRight" valign="bottom"><b>buckets</b> () const =0</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="a6adb04174b3fd47dcf4a4d6a401d563e"></a><!-- doxytag: member="QuantLib::LossDist::maximum" ref="a6adb04174b3fd47dcf4a4d6a401d563e" args="() const =0" -->
virtual <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>maximum</b> () const =0</td></tr>
<tr><td colspan="2"><h2><a name="pub-static-methods"></a>
Static Public Member Functions</h2></td></tr>
<tr><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#ab82fe26fbce3b5569b04c89ff1323940">binomialProbabilityOfNEvents</a> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#acf9cea8bbac2609ec13be76d762ea137">binomialProbabilityOfAtLeastNEvents</a> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">static std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#a2d7794e813cefafdac6576166cbdd06b">probabilityOfNEvents</a> (std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top"><a class="anchor" id="aa00098d738a49d32f49d9e57a76bd984"></a><!-- doxytag: member="QuantLib::LossDist::probabilityOfNEvents" ref="aa00098d738a49d32f49d9e57a76bd984" args="(int n, std::vector< Real > &p)" -->
static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><b>probabilityOfNEvents</b> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
<tr><td class="memItemLeft" align="right" valign="top">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> </td><td class="memItemRight" valign="bottom"><a class="el" href="class_quant_lib_1_1_loss_dist.html#aaed4b6db418b52611e4fb134d0cb6b8d">probabilityOfAtLeastNEvents</a> (int n, std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > &p)</td></tr>
</table>
<hr/><a name="details" id="details"></a><h2>Detailed Description</h2>
<div class="textblock"><p>Probability formulas and algorithms. </p>
</div><hr/><h2>Member Function Documentation</h2>
<a class="anchor" id="ab82fe26fbce3b5569b04c89ff1323940"></a><!-- doxytag: member="QuantLib::LossDist::binomialProbabilityOfNEvents" ref="ab82fe26fbce3b5569b04c89ff1323940" args="(int n, std::vector< Real > &p)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
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<td class="memname">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_loss_dist.html#ab82fe26fbce3b5569b04c89ff1323940">binomialProbabilityOfNEvents</a> </td>
<td>(</td>
<td class="paramtype">int </td>
<td class="paramname"><em>n</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td><code> [static]</code></td>
</tr>
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<div class="memdoc">
<p>Binomial probability of n defaults using prob[0] </p>
</div>
</div>
<a class="anchor" id="acf9cea8bbac2609ec13be76d762ea137"></a><!-- doxytag: member="QuantLib::LossDist::binomialProbabilityOfAtLeastNEvents" ref="acf9cea8bbac2609ec13be76d762ea137" args="(int n, std::vector< Real > &p)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_loss_dist.html#acf9cea8bbac2609ec13be76d762ea137">binomialProbabilityOfAtLeastNEvents</a> </td>
<td>(</td>
<td class="paramtype">int </td>
<td class="paramname"><em>n</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td><code> [static]</code></td>
</tr>
</table>
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<div class="memdoc">
<p>Binomial probability of at least n defaults using prob[0] </p>
</div>
</div>
<a class="anchor" id="a2d7794e813cefafdac6576166cbdd06b"></a><!-- doxytag: member="QuantLib::LossDist::probabilityOfNEvents" ref="a2d7794e813cefafdac6576166cbdd06b" args="(std::vector< Real > &p)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">static std::vector<<a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a>> <a class="el" href="class_quant_lib_1_1_loss_dist.html#a2d7794e813cefafdac6576166cbdd06b">probabilityOfNEvents</a> </td>
<td>(</td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em></td><td>)</td>
<td><code> [static]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Probability of exactly n default events Xiaofong Ma, "Numerical Methods for the Valuation of Synthetic
Collateralized Debt Obligations", PhD Thesis, Graduate Department of Computer Science, University of Toronto, 2007 <a href="http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf">http://www.cs.toronto.edu/pub/reports/na/ma-07-phd.pdf</a> (formula 2.1) </p>
</div>
</div>
<a class="anchor" id="aaed4b6db418b52611e4fb134d0cb6b8d"></a><!-- doxytag: member="QuantLib::LossDist::probabilityOfAtLeastNEvents" ref="aaed4b6db418b52611e4fb134d0cb6b8d" args="(int n, std::vector< Real > &p)" -->
<div class="memitem">
<div class="memproto">
<table class="memname">
<tr>
<td class="memname">static <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> <a class="el" href="class_quant_lib_1_1_loss_dist.html#aaed4b6db418b52611e4fb134d0cb6b8d">probabilityOfAtLeastNEvents</a> </td>
<td>(</td>
<td class="paramtype">int </td>
<td class="paramname"><em>n</em>, </td>
</tr>
<tr>
<td class="paramkey"></td>
<td></td>
<td class="paramtype">std::vector< <a class="el" href="group__types.html#ga4bdf4bfe76b9ffa6fa64c47d8bfa0c78">Real</a> > & </td>
<td class="paramname"><em>p</em> </td>
</tr>
<tr>
<td></td>
<td>)</td>
<td></td><td><code> [static]</code></td>
</tr>
</table>
</div>
<div class="memdoc">
<p>Probability of at least n defaults </p>
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